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Log-optimal currency portfolios and control Lyapunov exponents

Full Text: cdc2005.pdf PDF

P. Algoet and T. Cover characterized log-optimal portfolios in a stationary market without friction. There is no analogous result for markets with friction, of which a currency market is a typical example. In this paper we restrict ourselves to simple static strategies. The problem is then reduced to the analysis of products of random matrices, the top-Lyapunov exponent giving the growth rate. New insights to products of random matrices will be given and an algorithm for optimizing top-Lyapunov exponents will be presented together with some key steps of its analysis. Simulation results will also be given. [..]

Citation

L. Gerencser, M. Rasonyi, Z. Vago, C. Szepesvari. "Log-optimal currency portfolios and control Lyapunov exponents". IEEE, pp 1764-1769, January 2005.

Keywords: machine learning
Category: In Conference

BibTeX

@incollection{Gerencser+al:IEEE05,
  author = {L Gerencser and M Rasonyi and Zs Vago and Csaba Szepesvari},
  title = {Log-optimal currency portfolios and control Lyapunov exponents},
  Pages = {1764-1769},
  booktitle = {},
  year = 2005,
}

Last Updated: January 04, 2007
Submitted by William Thorne

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